HTCF.L Regulatory News (HTCF)

FOR IMMEDIATE RELEASE

20 October 2015

FACTSHEET - SEPTEMBER 2015

"A solid performance against difficult markets"

BlueCrest AllBlue Fund Limited (BCAB) rose by 0.3% in September, a solid performance against a backdrop of difficult markets, bringing the gain for the year to date to 2.9% (Sterling Class NAV). The rolling 12 month return remained level at 3.8% and volatility was stable, at 3.2%.

Markets were nervous and choppy as economic data remained generally disappointing, particularly from China. Emerging markets continued to feel the strain and the MSCI Emerging Markets index finished September down 17% on a year to date basis. Credit markets also suffered and exhibited some illiquidity, particularly in high yield. The US Federal Reserve keeping rates unchanged did nothing to settle investors' stomachs.

"Strongest performance came from BlueTrend 2x"

As in August, five of the seven underlying strategies generated positive performance. BlueCrest Multi Strategy Credit and BlueCrest Quantitative Equity detracted once again, albeit only modestly.

The strongest performance came from BlueTrend 2x, which rose by over 4.5% on the month. Although only three of BlueTrend's seven strategies produced positive performance, the four detracting strategies did little to dent to strong gains coming from long positioning in bonds, an orientation which was maintained by the model for the entire month. Strong performance was also seen from the short term interest rates sector. Positioning in equities and commodities was maintained net short. Overall risk levels increased slightly during the month.

Despite the turmoil in emerging markets, BlueCrest Emerging Markets Fund eked out a small gain. BlueCrest Multi Strategy Credit was the worst performing fund in September at -0.6% on the month. Gains were seen in volatility trading and convertible bond arbitrage with losses in long/short strategies. High yield positioning was largely flat despite illiquidity in the cash bond market seeing some sharp price falls. The risk exposure in the fund was already defensive entering September and there were further modest tactical risk reductions during the month.

BlueCrest Mercantile produced a small positive return as both the Trade Credit Opportunities and Bank Basel III strategies were positive. The former saw the Ukrainian sovereign CDS hedges triggered by default but the underlying trade finance positions pay out in full. The Bank Basel III strategy produced the majority of returns as emerging market mark-downs were offset by CDS hedge protection. Small losses were seen from some mining positions. A good pipeline of securitisations is being seen which are expected to become available by year end.

A small increase of 1.5% was made to the allocation to BlueCrest Equity Strategies for October at the expense of BlueTrend 2x and BlueCrest Capital International.

"The Company continued its buyback"

The Company continued its buyback activity during September, although selling pressure has subsequently abated. The discount remains reasonably stable, either side of 5%.

Disclaimer:

This document is directed only at: (i) persons having professional experience in matters relating to investments who fall within the definition of "investment professionals" in Article 19(5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005; or (ii) high net worth bodies corporate, unincorporated associations and partnerships and trustees of high value trusts as described in Article 49(2) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 and persons who receive this document who do not fall within (i) or (ii) above should not rely on or act upon this document.

This document is issued by BlueCrest AllBlue Fund Limited (the "Company") to and for the information of its existing shareholders and does not in any jurisdiction constitute investment advice or an invitation to invest in the shares or any other securities of the Company or any other entity (body corporate or otherwise).

The Company has used reasonable care to ensure that the information included in this document is accurate at the date of its issue, but does not undertake to update or revise the information, including any information relating to AllBlue Limited and its underlying funds (the "Funds") provided by BlueCrest Capital Management (UK) LLP or any member of the BlueCrest group of companies (as applicable) ("BlueCrest"), or guarantee the accuracy of such information. To the extent permitted by law neither the Company, the Funds, BlueCrest nor their directors or officers shall be liable for any loss or damage that anyone may suffer in reliance on such information.

The information in this document may be changed by the Company at any time. Past performance cannot be relied on as a guide to future performance. The Company's investment strategy is speculative and entails substantial risks. The value of an investment may go down as well as up and some or all of the total amount invested may be lost. This document may not, in whole or in part, directly or indirectly, be taken, transmitted or distributed into the United States of America, its territories or possessions or made available to any national, resident or citizen of the United States of America or any other jurisdiction where applicable laws prohibit its release, distribution or publication. Any failure to comply with these restrictions may be a violation of the law in relevant jurisdictions.

JTC (Guernsey) Limited

Secretary

Tel: Guernsey 01481 702400

END OF ANNOUNCEMENT

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